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Some properties of the one-dimensional subordinated stable model

Statistics and Probability Letters. 2019. Vol. 146. P. 80–84.
Panov V.

In this paper, we consider some properties of the model constructed from the one-dimensional stable processes by changing the time to a non-decreasing Lévy process. Our first result reveals a relation between this class of processes and the class of time-changed Brownian motions. Moreover, we describe the CGMY (Carr-Geman-Madan-Yor) model as subordinated stable process, and show the representation of the Lévy density of the corresponding subordinator via the Mellin–Barnes integral.

Priority areas: mathematics
Language: English
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Keywords: subordinationсубординацияслучайная замена времениtime-changed modelstable processesустойчивый процессMellin–Barnes integralинтегралы Меллина-Барнеса
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